This paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding behavior occurs on a daily basis. However, in contrast to...

The historical returns of small-cap stocks have exceeded those of mid-cap and large-cap stocks over long time periods. The additional return experienced by small-cap investors has occurred despite inherent disadvantages in the asset class